by Nicolas Rabener | Oct 19, 2020 | Uncategorized
Don’t Get Carried Away by Carry Observing unusual but insightful cross-asset relationships October 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY Carry across asset classes has not performed strongly over the most recent decade Currency carry...
by Nicolas Rabener | Oct 1, 2020 | Uncategorized
Factor Olympics Q3 2020 And the winner is… October 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYMomentum & Quality are leading the performance scoreboard in Q1-3 2020Value & Size generated negative returns, like in recent years, and...
by Nicolas Rabener | Sep 14, 2020 | Uncategorized
CROIC, CFROI, CROCI & CROCS Searching for better value metrics September 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARYCash-return-on-invested-capital (CROIC) has been proposed by some as a superior Value metricSince the GFC in 2009, CROIC...
by Nicolas Rabener | Aug 31, 2020 | Uncategorized
Picking Highly Profitable Businesses Can Be Unprofitable Evaluating the Unusual Characteristics of the Profitability Factor August 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY There seems to be a relationship between the Profitability factor and...
by Nicolas Rabener | Aug 24, 2020 | Uncategorized
How Risky Are Value Stocks? Challenging Value as a risk premium strategy August 2020. Reading Time: 10 Minutes. Author: Nicolas Rabener. SUMMARY The Value factor is often explained as representing a risk premium or a behavioral bias However, financial analysts regard...
